Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -8.88 -7.65 -11.02
Market Cap (Millions USD) 4269.7 4072.34 3890.57
Predicted Beta 0.63 0.67 0.7
Idiosyncratic Volatility 3.88 5.02 5.75

Annualized return and volatility

EWY
Annualized Return 0.0703
Annualized Std Dev 0.3330
Annualized Sharpe (Rf=0%) 0.2112

Row

Daily Return Statistics

EWY
Observations 5020.0000
NAs 94.0000
Minimum -0.1648
Quartile 1 -0.0093
Median 0.0005
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0106
Maximum 0.2242
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0210
Skewness 0.4837
Kurtosis 12.2654

Downside Risk

EWY
Semi Deviation 0.0147
Gain Deviation 0.0157
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0190
Downside Deviation (Rf=0%) 0.0145
Downside Deviation (0%) 0.0145
Maximum Drawdown 0.7414
Historical VaR (95%) -0.0316
Historical ES (95%) -0.0486
Modified VaR (95%) -0.0258
Modified ES (95%) -0.0258
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2017-05-15 -0.7414 2442 273 2169
2000-06-12 2001-09-20 2002-03-06 -0.5077 441 325 116
2002-04-24 2003-03-31 2003-10-13 -0.3819 380 242 138
2018-01-29 2019-08-14 NA -0.3436 490 395 NA
2004-04-13 2004-08-03 2005-01-18 -0.2795 197 80 117

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWY
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA -0.3 0.0 1.7 0.3 0.0 4.6 1.5 0.0 7.9
2001 -0.9 1.7 0.0 1.9 -1.7 0.0 5.6 0.0 0.5 5.5 0.0 0.0 13.0
2002 -1.1 2.4 -1.7 -0.4 0.0 -2.1 -1.4 0.0 5.3 -1.6 0.0 0.0 -0.9
2003 0.0 0.0 1.6 0.1 0.0 1.1 2.0 0.0 4.4 0.0 4.9 0.0 14.8
2004 0.0 1.1 1.4 0.0 0.0 -2.8 0.0 2.1 3.1 0.0 1.6 0.0 6.3
2005 -0.2 0.8 1.2 0.0 0.9 1.2 1.3 2.3 0.0 1.9 2.6 0.0 12.8
2006 -1.5 1.8 0.0 0.6 1.1 0.0 -2.5 1.4 0.0 -0.3 0.0 0.0 0.5
2007 2.6 -1.5 0.0 0.8 2.0 0.0 -2.4 0.0 4.1 -4.6 0.0 0.0 0.7
2008 1.6 0.0 4.3 1.4 0.0 -0.9 -1.0 0.0 -1.7 0.0 -8.9 0.0 -5.6
2009 0.0 0.0 4.5 1.5 3.6 3.2 0.0 0.6 -4.2 0.0 2.7 0.0 12.3
2010 2.4 1.5 3.2 0.0 -1.2 0.4 0.0 3.9 1.8 1.8 3.1 0.0 18.1
2011 3.1 -1.5 2.2 0.0 -1.6 1.6 0.3 -1.2 0.0 -1.6 -0.1 0.0 1.1
2012 1.5 0.7 0.0 0.6 -2.3 0.0 0.5 0.0 0.9 0.9 0.0 0.0 2.8
2013 -0.1 0.4 -1.0 -1.0 0.0 1.1 1.1 0.0 1.5 0.7 0.0 0.0 2.7
2014 0.0 0.0 1.3 0.5 0.0 0.8 0.8 0.0 -2.6 0.0 -0.8 0.0 -0.1
2015 0.0 0.0 0.3 0.0 -1.0 1.1 0.0 -2.1 1.6 0.0 1.7 0.0 1.6
2016 -0.3 2.8 -1.4 0.0 0.4 1.5 0.7 0.5 0.0 -0.8 0.4 0.0 3.7
2017 0.0 0.7 0.0 0.6 0.0 0.0 0.8 0.3 0.0 2.0 -0.1 0.0 4.3
2018 -1.4 -0.5 0.0 -0.5 1.9 0.0 -0.7 0.0 -0.5 2.1 0.0 0.0 0.4
2019 -1.1 0.1 2.0 -0.8 0.0 -0.4 -1.3 0.0 -0.5 2.0 0.0 -0.8 -0.8

Row

Rolling Performance Chart

Snail Trail Chart